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Selecting a regression saturated by indicators

Abstract:

We consider selecting a regression model, using a variant of general-to-specific, when there are more variables than observations, in the special case that the variables are impulse dummies (indicators) for every observation. We show that the setting is unproblematic if tackled appropriately, and obtain the finite-sample distribution of estimators of the mean and variance in a simple location-scale model under the null that no impulses matter. A Monte Carlo simulation confirms the null distri...

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Publication status:
Published
Peer review status:
Not peer reviewed

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author
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Institution:
University of Copenhagen
Department:
Economics Department
Role:
Author
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Institution:
Universidade Católica Portuguesa, Porto
Role:
Author
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Funding agency for:
Hendry, D
Grant:
"RES 051270035", "RES 000 230539"
Publication date:
2006-01-01
Language:
English
Keywords:
Subjects:
UUID:
uuid:a465039b-20d4-4c7e-9f71-da50668c6e33
Local pid:
ora:2033
Deposit date:
2008-06-02

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